Extremal quantiles of intermediate orders under two-way clustering

• Tác giả: Harold D Chiang, Ryutah Kato, Yuya Sasaki
• Ngôn ngữ: eng
• Ký hiệu phân loại: 745.928 Two-dimensional arrangements
• Thông tin xuất bản: 2024
• Bộ sưu tập: Metadata
• ID: 201824

Tóm tắt

This paper investigates extremal quantiles under two-way cluster dependence. We demonstrate that the limiting distribution of the unconditional intermediate order quantiles in the tails converges to a Gaussian distribution. This is remarkable as two-way cluster dependence entails potential non-Gaussianity in general, but extremal quantiles do not suffer from this issue. Building upon this result, we extend our analysis to extremal quantile regressions of intermediate order.